MSFT Custom Report
Metrics Table
| Metric |
MSFT |
SPY |
| Best Day |
14.22% |
9.06% |
| Best Month |
17.63% |
12.7% |
| Best Year |
56.8% |
27.04% |
| CAGR |
17.7% |
8.87% |
| CPC Index |
0.66 |
0.59 |
| Calmar |
0.47 |
0.26 |
| Common Sense Ratio |
1.14 |
1.11 |
| Cumulative Return |
225.4% |
85.11% |
| Daily Value-at-Risk |
-0.03 |
-0.02 |
| Expected Daily |
0.09% |
0.05% |
| Expected Monthly |
1.95% |
1.01% |
| Expected Yearly |
21.73% |
10.81% |
| Gain/Pain Ratio |
0.18 |
0.14 |
| Kurtosis |
7.25 |
11.61 |
| Max Drawdown |
-37.56% |
-34.1% |
| Payoff Ratio |
1.04 |
0.95 |
| Prob. Sharpe Ratio |
98.1% |
93.66% |
| Profit Factor |
1.18 |
1.14 |
| Recovery Factor |
3.75 |
2.13 |
| Risk of Ruin |
0.0% |
0.0% |
| Sharpe |
0.93 |
0.69 |
| Skew |
-0.01 |
-0.56 |
| Smart Sharpe |
0.77 |
0.59 |
| Smart Sortino |
1.13 |
0.82 |
| Smart Sortino/√2 |
0.8 |
0.58 |
| Sortino |
1.37 |
0.97 |
| Sortino/√2 |
0.97 |
0.68 |
| Tail Ratio |
0.96 |
0.97 |
| Ulcer Index |
0.13 |
0.1 |
| Volatility (ann.) |
30.33% |
20.97% |
| Worst Day |
-14.74% |
-10.94% |
| Worst Month |
-10.93% |
-13.0% |
| Worst Year |
-28.69% |
-19.48% |